A. Doruk Gunaydin

Sabanci University

Assistant Professor of Finance

School of Management

Orhanli Tuzla

İstanbul, 34956

Turkey

  • Sabanci University

SCHOLARLY PAPERS

14

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SSRN CITATIONS
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57

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Scholarly Papers (14)

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1.

Does the Carbon Premium Reflect Risk or Mispricing?

Number of pages: 18 Posted: 25 Sep 2023
Yigit Atilgan, K. Ozgur Demirtas, Alex Edmans and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management, London Business School - Institute of Finance and Accounting and Sabanci University
Downloads 12,568 (617)

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Carbon Premium, Climate Finance, Socially Responsible Investing, Corporate Social Responsibility, ESG Investing

2.

Left-Tail Momentum: Underreaction to Bad News, Costly Arbitrage and Equity Returns

Journal of Financial Economics (JFE), Vol. 135, No. 3, 2020
Number of pages: 85 Posted: 16 Nov 2017 Last Revised: 03 Mar 2020
Yigit Atilgan, Turan G. Bali, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Georgetown University - McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 6,432 (1,963)
Citation 44

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left-tail risk, momentum, equity returns, retail investors, costly arbitrage, investor inattention

3.

Do the Rich Gamble in the Stock Market? Low Risk Anomalies and Wealthy Households

Georgetown McDonough School of Business Research Paper No. 3664501
Number of pages: 115 Posted: 12 Aug 2020 Last Revised: 24 May 2023
Turan G. Bali, A. Doruk Gunaydin, Thomas Jansson and Yigitcan Karabulut
Georgetown University - McDonough School of Business, Sabanci University, Sveriges Riksbank - Research Division and Frankfurt School of Finance & Management
Downloads 655 (68,013)

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low risk anomalies, individual investors, idiosyncratic volatility, lottery stocks, skewness preference, social status, wealthy investors

4.

Predicting Equity Returns in Emerging Markets

Emerging Markets Finance and Trade, Vol. 57, No. 13, 2021
Number of pages: 50 Posted: 04 Aug 2018 Last Revised: 23 Mar 2022
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 648 (68,949)

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tail risk, momentum, anomalies, cross-section of equity returns, emerging markets

5.

Liquidity and Equity Returns in Borsa Istanbul

Applied Economics, Vol. 48, No. 52, 2016
Number of pages: 32 Posted: 14 May 2015 Last Revised: 19 Sep 2016
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 280 (182,016)
Citation 3

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liquidity, emerging markets, equity returns, asset pricing

6.

Global Downside Risk and Equity Returns

Journal of International Money and Finance, Vol. 98, 2019, Georgetown McDonough School of Business Research Paper No. 3422621
Number of pages: 58 Posted: 19 Jul 2019
Yigit Atilgan, Turan G. Bali, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Georgetown University - McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 208 (242,857)
Citation 4

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downside risk, tail risk, left-tail momentum, equity returns, international finance

7.

Mood Seasonality Around The Globe

Number of pages: 41 Posted: 24 Mar 2022 Last Revised: 19 Sep 2022
Yigit Atilgan, K. Ozgur Demirtas, A. Doruk Gunaydin and Imra KIRLI
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University - School of Management
Downloads 186 (268,818)

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equity returns, return seasonality, investor mood, mood beta, market efficiency, anomalies, international finance

8.

Downside Beta and the Cross-Section of Equity Returns: A Decade Later

European Financial Management, Vol. 26, No. 2, 2020
Number of pages: 37 Posted: 20 Sep 2017 Last Revised: 03 Mar 2020
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 185 (270,107)
Citation 2

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Downside Beta, Downside Risk, Tail Risk, Equity Returns, Asset Pricing

9.

Decomposing Value Globally

Applied Economics, Vol. 52, No. 42, 2020
Number of pages: 41 Posted: 26 Jun 2019 Last Revised: 02 Oct 2020
Yigit Atilgan, K. Ozgur Demirtas, A. Doruk Gunaydin and Imra KIRLI
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University - School of Management
Downloads 139 (343,065)
Citation 1

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value premium, decomposing value, size effect, cross-section of equity returns, international finance

10.

Average Skewness in Global Equity Markets

International Review of Finance, Vol. 23, No. 2, 2023
Number of pages: 48 Posted: 20 Oct 2020 Last Revised: 31 Jul 2023
Yigit Atilgan, K. Ozgur Demirtas, A. Doruk Gunaydin and Imra KIRLI
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University - School of Management
Downloads 130 (361,171)
Citation 1

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equity returns, average skewness, market skewness, volatility, time-series predictability, international finance

11.

Price Discovery in Emerging Market ETFs

Applied Economics, Vol. 54, No. 47, 2022
Number of pages: 33 Posted: 20 Oct 2020 Last Revised: 21 Sep 2022
Yigit Atilgan, K. Ozgur Demirtas, A. Doruk Gunaydin and MUSTAFA OZTEKIN
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University
Downloads 76 (517,270)

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exchange traded funds, equity markets, price discovery, information efficiency

12.

Tax Expense Surprise and Emerging Markets Equity Returns

Borsa Istanbul Review, forthcoming
Number of pages: 47 Posted: 08 Jan 2021 Last Revised: 01 Feb 2022
A. Doruk Gunaydin
Sabanci University
Downloads 32 (753,064)

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tax expense surprise, tax expense momentum, cross-sectional equity returns, emerging markets, international finance

13.

Momentum and Downside Risk in Emerging Markets

The Journal of Portfolio Management, Vol. 48, No. 8, 2022
Posted: 02 May 2022 Last Revised: 19 Sep 2022
Yigit Atilgan, K. Ozgur Demirtas, A. Doruk Gunaydin and Imra KIRLI
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University - School of Management

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momentum, downside risk, emerging markets, performance measurement

14.

Downside Beta and Equity Returns around the World

The Journal of Portfolio Management, Vol. 44, No. 7, https://doi.org/10.3905/jpm.2018.1.080
Posted: 23 Jun 2016 Last Revised: 10 Jul 2019
Yigit Atilgan, Turan G. Bali, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Georgetown University - McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 0 (1,030,294)

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Downside Risk, Downside Beta, Equity Returns, Asset Pricing, International Finance